He says the aim is to keep the overall risk of the portfolio stable and to improve its performance as a whole while looking for opportunities to increase the return for the same level of risk or maintain the return for less risk.

"What that means is you have to have a lot of confidence when you go into an active investment that you truly are adding value, you're not just buying the same risk that you could have got through the passive portfolio cheaply."

Mr Orr says active New Zealand investments would be Datacom, the Z petrol stations, a very large holding in Kaingaroa Forest and some rural investments.

He says globally the Superannuation Fund has also followed a contrarian investment strategy by increasing its exposure to large global equities and decreasing its exposure to fixed interest and the New Zealand dollar as the prices of those have deviated from what the fund would consider fair value.